Love Kills (1998) [Kashi]: Shot in the chest by Lesley Ann Warren, after Lucy pulls her own gun on Lesley. (Thanks to Templar and Andrew)

Futurama: I Dated a Robot(2001; animated) [Lucy Liu/Lucy Liubots]: Providing the voice of several "Lucy Liubots" as well as her own disembodied living head, most of the "Liubots" are destroyed when they are filled with popcorn and heated up, causing them to explode; the remaining "Liubot" has its programming wiped out. (The "real" Lucy survives the episode.) (Played for comic effect, obviously). (Thanks to Tommy)

Kill Bill: Vol. 1 (2003) [O-Ren Ishii, 'Cottonmouth']: Gets the top of her head cut off in a swordfight with Uma Thurman in the snow outside the House of Blue Leaves.

Lucky Number Slevin(2006) [Lindsey]: Although she survives the actual movie, the US DVD includes an alternate ending in which she is shot in the chest by Josh Hartnett in the morgue. (In the actual movie, there is an almost-identical scene, except that the shooter is Bruce Willis and the shooting turns out to be faked.) (Thanks to Cee-Snipes and Eric)

Rise: Blood Hunter (Rise) (2007) [Sadie Blake]: Throat slit and drained of blood by James D'Arcy and Carla Gugino; she later comes back to life as a vampire (waking up in the morgue) and dies once again when Michael Chiklis shoots her in the chest with a wooden crossbow bolt at her own request. The final scene, showing her morgue drawer opening, indicates that she may have come back to life yet again. (Thanks to Eric)